JBL Options History — June 2008

In June 2008, JBL traded between $13.62 and $16.57. ATM implied volatility averaged 50.6%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 0.5% (HV 20d: 51.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2008-06-18: Highest Volume — 22,356 contracts
  • 2008-06-25: Largest IV drop — 34.1% change
  • 2008-06-24: Highest IV Rank — 100.0%
  • 2008-06-24: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.76$13.62$16.57$13.86$16.41
Max Pain$12.02$10.00$12.50$10.00$12.50
ATM IV50.6%42.0%69.6%42.6%45.5%
Expected Move15.1%12.2%20.0%12.2%13.0%
HV 20d51.1%43.6%69.4%45.1%63.2%
HV 60d52.3%37.4%58.8%58.5%47.6%
IV Rank60.8%41.3%100.0%42.8%46.1%
IV Percentile79.1%54.0%100.0%59.1%66.3%
Term Structure-3.2%-11.1%4.4%4.2%1.7%
VWIV52.9%42.4%70.1%42.4%47.0%
Skew 25d5.9%-3.2%9.9%0.8%5.8%
Skew 10d11.7%-0.6%24.7%9.3%10.8%
Call IV 25d49.7%37.8%68.1%43.4%42.5%
Put IV 25d55.6%34.7%71.7%44.2%48.3%
Bid-Ask Spread %12.625.4124.3116.0813.34
Gamma HHI0.440.250.690.410.25
Net GEX580.3K364.0K1.0M436.9K486.0K
Net DEX-39.7M-49.2M-20.9M-35.0M-43.8M
Net VEX-176.8K-205.9K-149.7K-149.7K-202.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.043.570.233.57
Total Volume5,662.95261122,3565,7222,790
Total OI89,639.28678,613103,75678,61393,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$13.86$10.0042.6%12.2%45.1%42.8%42.4%0.8%4.2%436.9K-35.0M-149.7K0.2316.084,6501,07254,64723,966
2008-06-03$14.20$10.0044.9%12.9%45.1%48.3%45.6%8.2%2.8%507.3K-38.4M-156.9K0.0913.388,18277156,06724,234
2008-06-04$14.21$10.0044.6%12.8%44.9%47.7%43.8%8.1%3.3%517.9K-38.5M-164.2K0.0515.492,72213661,03624,578
2008-06-05$14.52$10.0042.9%12.3%43.6%43.5%42.7%-3.2%4.4%571.9K-43.6M-166.1K0.045.414,62617062,46724,657
2008-06-06$14.07$12.5044.1%14.7%46.6%46.5%52.2%2.5%-4.7%538.0K-41.9M-172.1K0.1413.593,28844964,71424,767
2008-06-09$14.16$12.5045.2%14.7%45.9%49.0%52.7%8.8%-3.9%545.8K-38.7M-162.8K1.3815.779151,26662,04925,061
2008-06-10$14.10$12.5042.0%15.5%44.8%41.3%54.1%9.4%-6.3%545.0K-38.3M-162.7K0.2515.942,39560762,37325,840
2008-06-11$13.62$12.5044.3%16.9%47.1%46.8%56.7%5.4%-7.4%495.8K-32.9M-165.7K1.9224.3120940263,42826,158
2008-06-12$14.24$12.5054.5%15.6%48.7%71.1%54.5%7.1%-5.5%589.7K-40.0M-166.2K0.6612.991,9951,32063,48526,399
2008-06-13$14.50$12.5053.1%15.2%48.6%67.9%54.4%6.4%-5.2%633.6K-41.7M-166.5K0.5714.541,08761763,84227,516
2008-06-16$14.75$12.5055.9%16.0%48.4%74.4%55.3%7.6%-8.1%706.1K-44.6M-165.8K0.6611.861,07270863,72227,922
2008-06-17$14.63$12.5055.2%15.8%48.9%72.7%57.0%5.2%-7.3%725.2K-43.0M-166.5K1.2211.2329235763,93828,213
2008-06-18$15.12$12.5057.7%16.5%49.4%78.7%60.7%9.3%-6.9%815.2K-49.2M-172.8K0.5310.5914,5687,78863,99928,440
2008-06-19$15.13$12.5056.5%16.2%46.5%75.9%56.6%6.2%-5.1%724.3K-46.6M-191.4K0.7512.782,1501,60568,00334,433
2008-06-20$14.95$12.5056.4%16.2%47.4%75.6%57.7%8.9%-4.4%1.0M-43.6M-192.5K0.3312.633,6341,18168,61735,139
2008-06-23$14.24$12.5065.3%18.7%50.5%96.9%65.1%7.5%-9.1%364.0K-20.9M-189.1K0.599.065,1212,99952,77427,500
2008-06-24$14.33$12.5069.6%20.0%50.4%100.0%70.1%3.6%-11.1%397.0K-22.3M-191.9K1.039.616,1916,37056,18928,174
2008-06-25$16.57$12.5045.9%13.1%69.2%47.2%47.0%9.9%0.6%525.8K-47.1M-197.8K0.518.2912,7256,46657,60031,890
2008-06-26$16.14$12.5048.6%13.9%69.4%53.1%46.9%3.7%-0.2%504.0K-41.4M-205.9K2.199.641,2602,76558,56233,820
2008-06-27$16.22$12.5047.7%13.7%68.9%51.2%47.4%3.3%0.8%514.9K-42.0M-203.3K3.358.474601,54158,56233,820
2008-06-30$16.41$12.5045.5%13.0%63.2%46.1%47.0%5.8%1.7%486.0K-43.8M-202.1K3.5713.346102,18058,25735,567